Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0004 |
| Annualized Std Dev | 0.0186 |
| Annualized Sharpe (Rf=0%) | -0.0235 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3348.0000 |
| NAs | 1.0000 |
| Minimum | -0.0365 |
| Quartile 1 | -0.0002 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0002 |
| Maximum | 0.0383 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0000 |
| Variance | 0.0000 |
| Stdev | 0.0012 |
| Skewness | 1.4032 |
| Kurtosis | 623.5170 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0008 |
| Gain Deviation | 0.0014 |
| Loss Deviation | 0.0013 |
| Downside Deviation (MAR=210%) | 0.0084 |
| Downside Deviation (Rf=0%) | 0.0008 |
| Downside Deviation (0%) | 0.0008 |
| Maximum Drawdown | 0.0485 |
| Historical VaR (95%) | -0.0010 |
| Historical ES (95%) | -0.0020 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | 0.0000 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-28 | 2010-11-03 | NA | -0.0485 | 3302 | 700 | NA |
| 2007-12-14 | 2008-01-18 | 2008-01-25 | -0.0048 | 28 | 24 | 4 |
| 2007-11-16 | 2007-11-16 | 2007-11-19 | -0.0006 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0 |
| 2008 | 0 | -0.5 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | 0 | -0.2 | 0 | -0.4 |
| 2009 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2010 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2011 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | 0 |
| 2012 | 0 | 0 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2013 | 0 | 0 | 0 | 0 | 0.3 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0.3 |
| 2014 | 0 | 0 | -0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2015 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 |
| 2016 | -0.1 | -0.1 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 | 0 | 0 | 0 | -0.2 |
| 2017 | 0 | 0 | 0 | 0 | -0.1 | 0 | 0 | -0.1 | -0.1 | -0.1 | 0.1 | 0 | -0.3 |
| 2018 | 0 | 0.4 | -0.3 | -0.2 | 0.1 | 0 | 0 | -0.1 | 0.1 | 0.1 | 0.1 | 0 | 0.3 |
| 2019 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0.1 | -0.1 | 0 | -0.1 | 0 | 0.1 | 0.1 |
| 2020 | -0.1 | -0.2 | 0.2 | 0 | 0 | 0 | 0.1 | 0 | -0.1 | 0.4 | 0 | 0 | 0.3 |
| 2021 | 0 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-15 25.0 SPY 146. -0.0144 -0.011 -0.0565 0.0057 0.0424 0.226 0.634 GLD 78.0 -0.029 -0.052
2 2007-11-16 25.0 SPY 146. 0.0017 0.0045 -0.0514 0.008 0.0412 0.237 0.607 GLD 77.8 -0.0026 -0.0539
3 2007-11-19 25.0 SPY 144. -0.0139 0.0004 -0.0395 -0.0081 0.0241 0.212 0.573 GLD 77.2 -0.0066 -0.0135
4 2007-11-20 25.1 SPY 145. 0.0061 -0.0232 -0.0392 -0.0137 0.0301 0.218 0.599 GLD 79.5 0.0289 0.0044
5 2007-11-21 25.1 SPY 142. -0.0205 -0.0406 -0.0664 -0.033 0.0084 0.207 0.568 GLD 79.4 -0.0014 -0.0115
6 2007-11-23 25.1 SPY 144. 0.0173 -0.0097 -0.0485 -0.0283 0.0248 0.222 0.560 GLD 81.2 0.0238 0.0423
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
